analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
Resources Filter by Type All Resources Publications Webinars Case Studies Videos Podcasts Events Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform white paper The LIBOR Transition Story Is Not Yet Over: Our Experts Reflect on 5 of the Remaining Core Issues and Challenges Two Numerix experts share what they believe are some of the most significant themes and concerns that exist as firms forge ahead with their transition plans. Read white paper webinar Turbo-charging XVA Greek Calculations Learn about Numerix’s latest innovation in its XVA engine to support high-speed XVA Greek calculations. Register Now webinar Risk.net | XVAs and Counterparty Credit Risk for an Energy Market in Crisis In November 2022, Risk.net hosted a panel discussion with five industry experts where they discussed the complexities of valuation adjustments and counterparty credit risk modelling for firms grappling with the European energy market crisis. Register Now analyst report Coalition Greenwich Report Modernizing Risk Management Technology: Has the Game Changed?, a new report produced by Coalition Greenwich, focuses on how the new macroeconomic regime has impacted and changed the factors that feed into market risk. Read analyst report webinar NxCore Cloud in Action: Examples of Capital Market Apps & How They Were Built See examples of capital markets apps built with NxCore Cloud and understand the thinking behind them, to inspire you to build your own. Register Now webinar Portfolio Management Using Advanced Market & Credit Simulations Learn how scenario generation and asset projection tools can be used to drive strategic asset allocation decisions. Register Now webinar Modernizing Risk Management Technology: Has the Game Changed? How are sell-side firms around the world dealing with current macroeconomic and geopolitical risks? Register Now white paper Analyzing the Global Usage of XVAs This white paper uncovers how XVAs are used across different regions and countries and is based on the results of an internal Numerix survey we conducted with our own XVA experts based in the U.S./Canada, Latin America, EMEA and APAC. Read white paper webinar Practical Implementation of a Quantitative Platform for Risk & Valuation Analytics In this series, we interview Philippe Hatstadt, Chief Risk Officer (CRO) from Exos Financial, about what it takes to successfully build and utilize a risk system, as well as common pitfalls to avoid. Register Now Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded webinar Inside Numerix’s R&D: How & Why We Built a Cloud-Native Compute Engine Discover how Numerix shifted Oneview, its flagship software, to a cloud-native architecture and the benefits this provides to users. Register Now article Lag in the SOFR-Linked Non-Linear Derivatives Market: Three Barriers to Transition This article is derived from a Risk.net webinar sponsored by Numerix, where an industry panel discussed how liquidity has developed in SOFR-linked non-linear products. Read article video Numerix: Pushing Boundaries to Create Breakthrough Technology Learn why Numerix is the leading provider of capital markets technology Watch video webinar Build Capital Market Apps Faster with NxCore Cloud Find out how NxCore - the next-generation development platform creates value for development teams – and their end-users. Register Now white paper Technology and Human Disruptors Impacting the Capital Markets This paper reveals how certain technology and human trends are transforming the capital market ecosystem. Read white paper webinar Derivative Insider Webinar Series: Cautionary Insights on Software Development In this webinar we discuss some troubling trends observed in software development, and how firms can address them before they cause serious problems. One topic in particular – development of proprietary systems using open-source code – h Register Now article A Few Insights into Crypto Risk In this article, Numerix’s Satyam Kancharla, makes a number of key points about risks in the crypto market. Read article webinar The Final Stretch: Outstanding Issues in Non-linear RFR Derivatives In this Risk.net webinar a panel of industry experts discuss the key issues and challenges market participants face regarding the volatility, valuation, pricing, liquidity and hedging of non-linear derivatives such as options, caps and floors. Register Now webinar LIBOR Transition Update: RFR Adoption So Far, & How Numerix Analytics Can Help Find out how new Risk Free Rates (RFRs) have been adopted in derivatives markets around the globe, and learn how Numerix analytics can help firms price new RFR products, construct RFR curves, and build volatility surfaces. Register Now Pagination First page « First Previous page Previous … Page 10 Page 11 Page 12 Page 13 Current page 14 Page 15 Page 16 Page 17 Page 18 … Next page Next Last page Last » Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform Content type All Publications Analyst report Article Blog post Journal issue Newsletter Quantitative research White paper quantitative research Fast-Reversion Limit of the Heston Model In this research paper, Dr. Serguei Mechkov examines the Heston model. Read quantitative research white paper Model Validation: New Approaches in Testing Mathematical and Financial Correctness of Models Driven both by regulators and internal pressure to avoid losses due to poor modeling, the validation of derivative pricing has received a burst of renewed interest in recent years. Read white paper journal issue Numerix Journal Vol. 1, No. 1 In this inaugural issue of the Numerix Journal we address challenges to multi-curve discounting, the Numerix approach to FVA, benchmark the American Monte Carlo approach, and present new thinking on model validation automation. Read journal issue white paper Model Risk: The Challenges of Legacy Code and Best Practices In this research paper, David Eliezer, PhD, Vice President and Head of Model Validation at Numerix, explores the most common types and sources of model risk, and then outlines the best practices that practitioners can utilize in model validation. Read white paper quantitative research Options for Collateral Options Credit support annexes specify rules for posting collateral. If multiple currencies are allowed, then the party posting collateral has a choice of which currency to post, now and at each future point in time. Read quantitative research white paper The OIS & FVA Relationship: Evolution of OTC Derivative Funding Dynamics This paper, written by Satyam Kancharla, Numerix Senior Vice President, explores the basics of OIS discounting and FVA for OTC derivatives—and then dives deeper into the relationship between the two concepts. Read white paper quantitative research Funding Value Adjustment for General Financial Instruments: Theory and Practice This research paper by the Numerix Quantitative Development Team details a new methodology for calculating Funding Value Adjustment (FVA) for vanilla and exotic deals at both the trade, and portfolio level. Read quantitative research white paper Mastering Model Risk: Assessment, Regulation and Best Practices In this paper, Numerix Chief Strategy Officer & SVP, Satyam Kancharla, outlines industry best practices for mastering model risk. Read white paper quantitative research SABR Spreads Its Wings Traditional methods for the stochastic alpha beta rho model tend to focus on expansion approximations that are inaccurate in the long maturity ‘wings’. Read quantitative research Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded white paper Considering Stochastic Mortality in Pricing Variable Annuities: Applications of the Lee Carter Model This research paper, written by Chao Liang, FSA and Numerix Insurance Product Specialist, examines how the Lee Carter Model can be beneficial when pricing variable annuities. Read white paper white paper Risk Neutral Modeling for Economic Scenario Generation: In Theory and Practice In this white paper, Numerix VP and Insurance Product Manager Ghali Boukfaoui, explores the theory behind and practice surrounding Risk Neutral Modeling for Economic Scenario Generation (ESG). Read white paper quantitative research USLV: Unspanned Stochastic Local Volatility Model In this article, we propose a new framework for modeling stochastic local volatility, with potential applications to modeling derivatives on interest rates, commodities, credit, equity, FX etc., as well as hybrid derivatives. Read quantitative research quantitative research Exposure & CVA for Large Portfolios of Vanilla Swaps: The Thin-Out Optimization In this article we present an efficient optimization for calculating the exposure and CVA for large portfolios of vanilla swaps. Read quantitative research blog Advanced FX Hedging Strategies (and what NOT to do): A Case Study Learn advanced FX hedging strategies and what is most effective. Read Blog quantitative research Algorithmic Exposure and CVA for Exotic Derivatives In this article, we develop the algorithmic approach for Counterparty exposure calculation and automate its application to arbitrary complicated instruments. Read quantitative research blog Capturing Stochastic Volatility: Key to Trading Inflation Derivatives Modeling the smile and capturing the stochastic nature of volatility has become critically important for inflation derivatives trading. Read Blog quantitative research Analytical Approximations for Short Rate Models In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models. Read quantitative research blog Bates Model and Cliquet Pricing in Numerix Bates stochastic volatility jump-diffusion model is the market standard model for pricing exotic options that depend heavily on the forward skew, such as cliquets and other forward-starting trades. Read Blog Pagination First page « First Previous page Previous … Page 7 Page 8 Page 9 Page 10 Page 11 Page 12 Page 13 Current page 14 Page 15 Next page Next Last page Last » Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform No resources found. 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Pagination First page « First Previous page Previous Page 1 Current page 2 Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform No resources found. Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform No resources found. 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white paper The LIBOR Transition Story Is Not Yet Over: Our Experts Reflect on 5 of the Remaining Core Issues and Challenges Two Numerix experts share what they believe are some of the most significant themes and concerns that exist as firms forge ahead with their transition plans. Read white paper
webinar Turbo-charging XVA Greek Calculations Learn about Numerix’s latest innovation in its XVA engine to support high-speed XVA Greek calculations. Register Now
webinar Risk.net | XVAs and Counterparty Credit Risk for an Energy Market in Crisis In November 2022, Risk.net hosted a panel discussion with five industry experts where they discussed the complexities of valuation adjustments and counterparty credit risk modelling for firms grappling with the European energy market crisis. Register Now
analyst report Coalition Greenwich Report Modernizing Risk Management Technology: Has the Game Changed?, a new report produced by Coalition Greenwich, focuses on how the new macroeconomic regime has impacted and changed the factors that feed into market risk. Read analyst report
webinar NxCore Cloud in Action: Examples of Capital Market Apps & How They Were Built See examples of capital markets apps built with NxCore Cloud and understand the thinking behind them, to inspire you to build your own. Register Now
webinar Portfolio Management Using Advanced Market & Credit Simulations Learn how scenario generation and asset projection tools can be used to drive strategic asset allocation decisions. Register Now
webinar Modernizing Risk Management Technology: Has the Game Changed? How are sell-side firms around the world dealing with current macroeconomic and geopolitical risks? Register Now
white paper Analyzing the Global Usage of XVAs This white paper uncovers how XVAs are used across different regions and countries and is based on the results of an internal Numerix survey we conducted with our own XVA experts based in the U.S./Canada, Latin America, EMEA and APAC. Read white paper
webinar Practical Implementation of a Quantitative Platform for Risk & Valuation Analytics In this series, we interview Philippe Hatstadt, Chief Risk Officer (CRO) from Exos Financial, about what it takes to successfully build and utilize a risk system, as well as common pitfalls to avoid. Register Now
webinar Inside Numerix’s R&D: How & Why We Built a Cloud-Native Compute Engine Discover how Numerix shifted Oneview, its flagship software, to a cloud-native architecture and the benefits this provides to users. Register Now
article Lag in the SOFR-Linked Non-Linear Derivatives Market: Three Barriers to Transition This article is derived from a Risk.net webinar sponsored by Numerix, where an industry panel discussed how liquidity has developed in SOFR-linked non-linear products. Read article
video Numerix: Pushing Boundaries to Create Breakthrough Technology Learn why Numerix is the leading provider of capital markets technology Watch video
webinar Build Capital Market Apps Faster with NxCore Cloud Find out how NxCore - the next-generation development platform creates value for development teams – and their end-users. Register Now
white paper Technology and Human Disruptors Impacting the Capital Markets This paper reveals how certain technology and human trends are transforming the capital market ecosystem. Read white paper
webinar Derivative Insider Webinar Series: Cautionary Insights on Software Development In this webinar we discuss some troubling trends observed in software development, and how firms can address them before they cause serious problems. One topic in particular – development of proprietary systems using open-source code – h Register Now
article A Few Insights into Crypto Risk In this article, Numerix’s Satyam Kancharla, makes a number of key points about risks in the crypto market. Read article
webinar The Final Stretch: Outstanding Issues in Non-linear RFR Derivatives In this Risk.net webinar a panel of industry experts discuss the key issues and challenges market participants face regarding the volatility, valuation, pricing, liquidity and hedging of non-linear derivatives such as options, caps and floors. Register Now
webinar LIBOR Transition Update: RFR Adoption So Far, & How Numerix Analytics Can Help Find out how new Risk Free Rates (RFRs) have been adopted in derivatives markets around the globe, and learn how Numerix analytics can help firms price new RFR products, construct RFR curves, and build volatility surfaces. Register Now
quantitative research Fast-Reversion Limit of the Heston Model In this research paper, Dr. Serguei Mechkov examines the Heston model. Read quantitative research
white paper Model Validation: New Approaches in Testing Mathematical and Financial Correctness of Models Driven both by regulators and internal pressure to avoid losses due to poor modeling, the validation of derivative pricing has received a burst of renewed interest in recent years. Read white paper
journal issue Numerix Journal Vol. 1, No. 1 In this inaugural issue of the Numerix Journal we address challenges to multi-curve discounting, the Numerix approach to FVA, benchmark the American Monte Carlo approach, and present new thinking on model validation automation. Read journal issue
white paper Model Risk: The Challenges of Legacy Code and Best Practices In this research paper, David Eliezer, PhD, Vice President and Head of Model Validation at Numerix, explores the most common types and sources of model risk, and then outlines the best practices that practitioners can utilize in model validation. Read white paper
quantitative research Options for Collateral Options Credit support annexes specify rules for posting collateral. If multiple currencies are allowed, then the party posting collateral has a choice of which currency to post, now and at each future point in time. Read quantitative research
white paper The OIS & FVA Relationship: Evolution of OTC Derivative Funding Dynamics This paper, written by Satyam Kancharla, Numerix Senior Vice President, explores the basics of OIS discounting and FVA for OTC derivatives—and then dives deeper into the relationship between the two concepts. Read white paper
quantitative research Funding Value Adjustment for General Financial Instruments: Theory and Practice This research paper by the Numerix Quantitative Development Team details a new methodology for calculating Funding Value Adjustment (FVA) for vanilla and exotic deals at both the trade, and portfolio level. Read quantitative research
white paper Mastering Model Risk: Assessment, Regulation and Best Practices In this paper, Numerix Chief Strategy Officer & SVP, Satyam Kancharla, outlines industry best practices for mastering model risk. Read white paper
quantitative research SABR Spreads Its Wings Traditional methods for the stochastic alpha beta rho model tend to focus on expansion approximations that are inaccurate in the long maturity ‘wings’. Read quantitative research
white paper Considering Stochastic Mortality in Pricing Variable Annuities: Applications of the Lee Carter Model This research paper, written by Chao Liang, FSA and Numerix Insurance Product Specialist, examines how the Lee Carter Model can be beneficial when pricing variable annuities. Read white paper
white paper Risk Neutral Modeling for Economic Scenario Generation: In Theory and Practice In this white paper, Numerix VP and Insurance Product Manager Ghali Boukfaoui, explores the theory behind and practice surrounding Risk Neutral Modeling for Economic Scenario Generation (ESG). Read white paper
quantitative research USLV: Unspanned Stochastic Local Volatility Model In this article, we propose a new framework for modeling stochastic local volatility, with potential applications to modeling derivatives on interest rates, commodities, credit, equity, FX etc., as well as hybrid derivatives. Read quantitative research
quantitative research Exposure & CVA for Large Portfolios of Vanilla Swaps: The Thin-Out Optimization In this article we present an efficient optimization for calculating the exposure and CVA for large portfolios of vanilla swaps. Read quantitative research
blog Advanced FX Hedging Strategies (and what NOT to do): A Case Study Learn advanced FX hedging strategies and what is most effective. Read Blog
quantitative research Algorithmic Exposure and CVA for Exotic Derivatives In this article, we develop the algorithmic approach for Counterparty exposure calculation and automate its application to arbitrary complicated instruments. Read quantitative research
blog Capturing Stochastic Volatility: Key to Trading Inflation Derivatives Modeling the smile and capturing the stochastic nature of volatility has become critically important for inflation derivatives trading. Read Blog
quantitative research Analytical Approximations for Short Rate Models In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models. Read quantitative research
blog Bates Model and Cliquet Pricing in Numerix Bates stochastic volatility jump-diffusion model is the market standard model for pricing exotic options that depend heavily on the forward skew, such as cliquets and other forward-starting trades. Read Blog
